| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 73.0% | 100.0% |
| Cumulative Return | 38,686.31% | 11,411.48% |
| CAGR% | 9.24% | 7.29% |
| Sharpe | 0.78 | 0.53 |
| Sortino | 1.1 | 0.74 |
| Max Drawdown | -51.23% | -56.78% |
| Longest DD Days | 3576 | 2743 |
| Volatility (ann.) | 12.36% | 15.8% |
| R^2 | 0.61 | 0.61 |
| Calmar | 0.18 | 0.13 |
| Skew | -1.22 | -0.63 |
| Kurtosis | 47.06 | 21.55 |
| Expected Daily % | 0.04% | 0.03% |
| Expected Monthly % | 0.74% | 0.59% |
| Expected Yearly % | 9.16% | 7.23% |
| Kelly Criterion | 2.49% | 5.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.24% | -1.6% |
| Expected Shortfall (cVaR) | -1.24% | -1.6% |
| Payoff Ratio | 0.99 | 0.99 |
| Profit Factor | 1.2 | 1.1 |
| Common Sense Ratio | 1.28 | 1.1 |
| CPC Index | 0.61 | 0.58 |
| Tail Ratio | 1.07 | 1.0 |
| Outlier Win Ratio | 6.67 | 3.69 |
| Outlier Loss Ratio | 4.45 | 3.59 |
| MTD | 0.47% | 0.47% |
| 3M | 2.97% | 3.53% |
| 6M | 8.4% | -2.62% |
| YTD | 5.38% | -5.33% |
| 1Y | 7.05% | 11.14% |
| 3Y (ann.) | 8.3% | 8.23% |
| 5Y (ann.) | 5.37% | 7.73% |
| 10Y (ann.) | 6.87% | 10.87% |
| All-time (ann.) | 9.24% | 7.29% |
| Best Day | 11.58% | 11.58% |
| Worst Day | -20.47% | -20.47% |
| Best Month | 13.83% | 16.3% |
| Worst Month | -21.76% | -21.76% |
| Best Year | 36.0% | 45.02% |
| Worst Year | -37.59% | -38.49% |
| Avg. Drawdown | -1.7% | -2.47% |
| Avg. Drawdown Days | 38 | 43 |
| Recovery Factor | 755.2 | 200.99 |
| Ulcer Index | 1.0 | 1.01 |
| Avg. Up Month | 2.85% | 3.34% |
| Avg. Down Month | -2.44% | -3.25% |
| Win Days % | 51.49% | 53.3% |
| Win Month % | 63.59% | 60.12% |
| Win Quarter % | 70.5% | 65.56% |
| Win Year % | 77.61% | 70.59% |
| Beta | 0.61 | - |
| Alpha | 0.05 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1953 | -6.62 | -1.71 | 0.26 | + |
| 1954 | 45.02 | 36.00 | 0.80 | - |
| 1955 | 26.40 | 17.23 | 0.65 | - |
| 1956 | 2.62 | -6.06 | -2.32 | - |
| 1957 | -14.31 | -2.33 | 0.16 | + |
| 1958 | 38.06 | 21.26 | 0.56 | - |
| 1959 | 8.48 | 5.31 | 0.63 | - |
| 1960 | -2.97 | 13.26 | -4.46 | + |
| 1961 | 23.13 | 14.50 | 0.63 | - |
| 1962 | -11.81 | 18.55 | -1.57 | + |
| 1963 | 18.89 | 15.66 | 0.83 | - |
| 1964 | 12.97 | 11.92 | 0.92 | - |
| 1965 | 9.06 | 10.48 | 1.16 | + |
| 1966 | -13.09 | 12.77 | -0.98 | + |
| 1967 | 20.09 | 24.72 | 1.23 | + |
| 1968 | 7.66 | 21.65 | 2.83 | + |
| 1969 | -11.36 | 11.02 | -0.97 | + |
| 1970 | 0.10 | 22.48 | 229.96 | + |
| 1971 | 10.79 | 24.44 | 2.27 | + |
| 1972 | 15.63 | 21.55 | 1.38 | + |
| 1973 | -17.37 | 5.07 | -0.29 | + |
| 1974 | -29.72 | 4.91 | -0.17 | + |
| 1975 | 31.55 | 7.49 | 0.24 | - |
| 1976 | 19.15 | 15.64 | 0.82 | - |
| 1977 | -11.50 | -6.36 | 0.55 | + |
| 1978 | 1.06 | 19.44 | 18.30 | + |
| 1979 | 12.31 | 14.93 | 1.21 | + |
| 1980 | 25.77 | 27.39 | 1.06 | + |
| 1981 | -9.73 | -1.77 | 0.18 | + |
| 1982 | 14.76 | 25.99 | 1.76 | + |
| 1983 | 17.27 | 5.10 | 0.30 | - |
| 1984 | 1.40 | 0.04 | 0.03 | - |
| 1985 | 26.33 | 27.75 | 1.05 | + |
| 1986 | 14.62 | 16.44 | 1.12 | + |
| 1987 | 2.03 | -0.35 | -0.17 | - |
| 1988 | 12.40 | -1.00 | -0.08 | - |
| 1989 | 27.25 | 18.56 | 0.68 | - |
| 1990 | -6.56 | -2.76 | 0.42 | + |
| 1991 | 26.31 | 22.28 | 0.85 | - |
| 1992 | 4.46 | 2.25 | 0.50 | - |
| 1993 | 7.06 | 7.12 | 1.01 | + |
| 1994 | -1.54 | -1.34 | 0.87 | + |
| 1995 | 34.11 | 34.14 | 1.00 | + |
| 1996 | 20.26 | 10.91 | 0.54 | - |
| 1997 | 31.01 | 31.66 | 1.02 | + |
| 1998 | 26.67 | 26.06 | 0.98 | - |
| 1999 | 19.53 | 11.07 | 0.57 | - |
| 2000 | -10.14 | -9.28 | 0.92 | + |
| 2001 | -13.04 | -10.54 | 0.81 | + |
| 2002 | -23.37 | 0.00 | -0.00 | + |
| 2003 | 26.38 | 17.08 | 0.65 | - |
| 2004 | 8.99 | 3.68 | 0.41 | - |
| 2005 | 3.00 | 3.83 | 1.28 | + |
| 2006 | 13.62 | 9.13 | 0.67 | - |
| 2007 | 3.53 | 3.64 | 1.03 | + |
| 2008 | -38.49 | -37.59 | 0.98 | + |
| 2009 | 23.45 | 12.99 | 0.55 | - |
| 2010 | 12.78 | 1.13 | 0.09 | - |
| 2011 | -0.00 | -6.35 | 1994.86 | - |
| 2012 | 13.41 | 5.23 | 0.39 | - |
| 2013 | 29.60 | 25.50 | 0.86 | - |
| 2014 | 11.39 | 12.37 | 1.09 | + |
| 2015 | -0.73 | -0.70 | 0.97 | + |
| 2016 | 9.54 | -1.25 | -0.13 | - |
| 2017 | 19.42 | 18.40 | 0.95 | - |
| 2018 | -6.24 | 3.41 | -0.55 | + |
| 2019 | 28.88 | 5.16 | 0.18 | - |
| 2020 | -5.33 | 5.38 | -1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2017-07-25 | -51.23 | 3576 |
| 2000-03-27 | 2006-03-15 | -34.95 | 2179 |
| 1987-08-26 | 1991-03-05 | -33.34 | 1287 |
| 1998-07-20 | 1998-11-23 | -19.34 | 126 |
| 1975-07-16 | 1976-01-14 | -14.14 | 182 |
| 1955-11-15 | 1958-09-11 | -13.34 | 1031 |
| 1974-10-15 | 1975-05-13 | -12.13 | 210 |
| 2019-05-01 | 2020-02-12 | -11.60 | 287 |
| 1973-09-28 | 1974-10-11 | -10.96 | 378 |
| 1997-10-08 | 1997-12-05 | -10.80 | 58 |